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use sell_row.open also when the active ROI value just changed

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This commit is contained in:
Matthias 2019-12-09 16:52:12 +01:00
parent 45d12dbc83
commit de33ec4250
2 changed files with 63 additions and 6 deletions
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19
freqtrade/optimize/backtesting.py
View File

@ -273,19 +273,26 @@ class Backtesting:
roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
if roi is not None:
if roi == -1 and roi_entry % self.timeframe_mins == 0:
# When forceselling with ROI=-1, the roi-entry will always be "on the entry".
# If that entry is a multiple of the timeframe (so on open)
# When forceselling with ROI=-1, the roi time will always be equal to trade_dur.
# If that entry is a multiple of the timeframe (so on candle open)
# - we'll use open instead of close
return sell_row.open
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
closerate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
close_rate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
# Use the maximum between closerate and low as we
if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_mins == 0
and sell_row.open > close_rate):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
return sell_row.open
# Use the maximum between close_rate and low as we
# cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
return max(closerate, sell_row.low)
return max(close_rate, sell_row.low)
else:
# This should not be reached...

50
tests/optimize/test_backtest_detail.py
View File

@ -281,6 +281,53 @@ tc17 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 18: Buy, hold for 120 mins, then drop ROI to 1%, causing a sell in candle 3.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# uses open_rate as sell-price
tc18 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
[3, 5200, 5220, 4940, 4962, 6172, 0, 0], # Sell on ROI (sells on open)
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
tc19 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
[3, 5000, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
tc20 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
[3, 5200, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
TESTS = [
tc0,
tc1,
@ -300,6 +347,9 @@ TESTS = [
tc15,
tc16,
tc17,
tc18,
tc19,
tc20,
]